Commodity prices and the CPI: Cointegration, information, and signal extraction |
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Authors: | R. A. Pecchenino |
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Abstract: | This paper provides theoretical underpinnings for the commodity price/aggregate price relationship, discusses the conditions under which commodity prices are useful information variables for monetary policy, and provides empirical results which suggest why commodity prices have not been very useful for forecasting. |
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Keywords: | Commodity price indices Inflation forecasts Cointegration |
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